I don't understand how to import texture files in Blender
When you try to import the FBX file into Blender (2.90) you get an error. The mesh is not bound to the armature and the materials are missing.
But the textures are included in a separate folder. They are Fortnite specific and some of them are multi-channel textures. I found some info about the Fortnite Texture Format on reddit. The letter at the end of the filename means:

_D = Diffuse (Base Color/ Albedo alternatively)
_M = Misc or Mask (Red Channel = AO, Green Channel = Rim, Blue Channel = Subsurface Coloring)
_S = Spec (Red = Spec, Green = Metal, Blue = Roughness) - Set to None Color Data.
_N = Normal (None Color, Invert Green Channel for OpenGL Normals in programs like Blender)
_E = Emission Texture (May need to seperate channels for different texture)
_FX = Effects Texture/Mask (Used to apply emission in particular areas, and effects while ingame).

With this info, you can solve the puzzle:

the yellow pistol has only a Normal texture.
the body has a Diffuse &amp; Normal texture.
the head has a Diffuse, Effect (for the glowing left eye), and Spec multi-channel texture.
the hair has a Diffuse, Normal, and Spec multi-channel texture.

Now you just need to create 1 material for the gun and 3 materials for the model (body, head, and hair).
To assign the 3 different materials, select the model, switch to Edit mode, and hover the mouse over the head, and press L to select the loose parts. This will select the entire head. Then assign the selected mesh to the material. Repeat the step for the hair.
Finally, you just have to feed the Principled BSDF with the textures for the different materials. With the Separate RGB node you can split the multi-channel values.
Don't forget to select Color Space: Non-Color for the normal and multi-channel textures.